I track my RS4 regularly with the AudiClub. It's an absolute blast and it's an extremely capable car that will take me a very long time to fully explore before my driving skills catch up! Obviously, it's a front-heavy car (and a heavy car in general) and it will understeer badly if you overdrive it. It's a car that will rewards a smooth and precise driving. If you try to muscle it around, it'll fight back and destroy your front tires.
As mentioned above, upgraded brake pads are a must, and if it's time to change your rotors, upgrade those too (StopTech makes good two-piece rotors, which means you can just replace the rotor rings when they're worn out at only about half the cost). I also recommend a stiffer rear sway bar (034Motorsport makes a good one) to help the rear rotate and reduce understeer, as well as adjustable control arms (again, 034) so you can dial in a bit of camber at the front.
Mechanically, the engine is very strong, and you really don't have to worry about much there. No weak points other than the normal, often mentioned maintenance items of the RS4: carbon cleaning, intake runner flaps, and regular oil changes.
After that, tires are what make the biggest difference, but that's a department that is up to personal preference. Michelin PSS work great and will have reasonably good lifespan, even with track use, but you have to watch out for pressures and compound temperature or they'll destroy themselves rather quickly. Some folks also run Bridgestone RE11 or Toyo R888 or T1S. I now have a different set of wheels for the track (lighter, 18"), mostly so I can run slicks.
With all that said, I don't know that I would buy an RS4 specifically to make it a track car, unless you're loaded. It's an expensive car to maintain, and taking it to the track certainly doesn't help the wallet. It does force you to keep the car in tip-top shape though. If you're looking for a track toy, I feel like there are much better options. But the RS4 is indeed a very special car, that's a pleasure to drive both on and off the track, and I certainly would be the last person to not recommend owning one :)
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